rusty_backtest::features::asymmetry

Struct AsymmetryIndexCalculator

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pub struct AsymmetryIndexCalculator { /* private fields */ }
Expand description

Asymmetry Index calculator for order book skewness

Measures the asymmetry between bid and ask sides of the order book to identify potential directional pressure and price movements.

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impl AsymmetryIndexCalculator

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pub fn new( max_levels: usize, volume_weighted: bool, distance_decay: f64, window_size: usize, ) -> Self

Create a new asymmetry index calculator

§Arguments
  • max_levels - Maximum number of price levels to analyze
  • volume_weighted - Whether to weight by volume
  • distance_decay - Decay factor for price distance weighting (0-1)
  • window_size - Size of rolling window for smoothing
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pub fn calculate(&mut self, snapshot: &OrderBookSnapshot) -> AsymmetryMetrics

Calculate asymmetry index from order book snapshot

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pub fn reset(&mut self)

Reset the calculator

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impl Clone for AsymmetryIndexCalculator

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fn clone(&self) -> AsymmetryIndexCalculator

Returns a duplicate of the value. Read more
1.0.0 · Source§

const fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for AsymmetryIndexCalculator

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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🔬This is a nightly-only experimental API. (clone_to_uninit)
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